Combining Market and Credit Risk

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
Additional contact information
Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 13 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 201-213 from Springer

Abstract: Abstract The valuation approach detailed in Chap. 4 is centered on estimating the distribution of future values of a transaction after having simulated trajectories of the underlying stochastic drivers. When markets are complete, the pricing-by-arbitrage paradigm allows us to price stochastic payoffs as an expectation in a particular measure, namely the one under which the prices of assets are martingales when expressed in units of a chosen numeraire.

Keywords: Credit Risk; Call Option; Martingale Measure; Default Probability; Coherent Risk Measure (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_13

Ordering information: This item can be ordered from
http://www.springer.com/9783642044540

DOI: 10.1007/978-3-642-04454-0_13

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().